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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2017 Volume 466, Pages 30–37 (Mi znsl6538)

On one problem of the optimal choice of record values

I. V. Bel'kov, V. B. Nevzorov

St. Petersburg State University, St. Petersburg, Russia

Abstract: Independent random variables $X_1,X_2,\dots, X_n$ having $\mathrm U([0,1])$-uniform distribution and the upper record values in this set are considered. We study the problem how to maximize (taking into account some consecutively observed values $x_1,x_2,\dots,x_k$ of these $X$-s) the expectation of sums of records in this sequence under the optimal choice of the corresponding variable $X_k$ (instead of $X_1$) as the initial record value.

Key words and phrases: record times, record values, sums of record values, expected number of records, uniform distribution, optimal choice problem.

UDC: 519.2

Received: 12.10.2017



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